典型场景

空策略

//////////////////////////////////////////////////////////////////////////
//空策略

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
    MyStrategy() {}
    ~MyStrategy(){}

    //重写on_init事件，进行策略开发
    void on_init()
    {
        cout << "on_init" << endl;
        //订阅行情数据
        subscribe("SHSE.600000", "tick");

        return;
    }

    //接收tick行情事件
   void on_tick(Tick *tick)
   {
      cout << "代码                            " << tick->symbol << endl
         << "utc时间，精确到毫秒                " << tick->created_at << endl
         << "最新价                            " << tick->price << endl
         << "开盘价                            " << tick->open << endl
         << "最高价                            " << tick->high << endl
         << "最低价                            " << tick->low << endl
         << "成交总量                          " << tick->cum_volume << endl
         << "成交总金额 / 最新成交额, 累计值      " << tick->cum_amount << endl
         << "合约持仓量(期), 累计值              " << tick->cum_position << endl
         << "瞬时成交额                         " << tick->last_amount << endl
         << "瞬时成交量                         " << tick->last_volume << endl
         << "保留)交易类型, 对应多开, 多平等类型  " << tick->trade_type << endl
         << "报价                              " << tick->quotes << endl;
   }

private:
};

int main(int argc, char *argv[])
{
    MyStrategy s;
    s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a");
    s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
    s.set_mode(MODE_BACKTEST);
    s.set_backtest_config("2017-07-11 14:20:00", "2017-07-11 15:30:00",1000000, 1, 0, 0, 0, 1);
    s.run();
    cout << "回测完成！" << endl;
    getchar();
    return 0;
}

定时任务

//////////////////////////////////////////////////////////////////////////
//定时任务
//策略描述：
//典型如选股交易。比如，策略每日收盘前10分钟执行：选股->决策逻辑->交易->退出。可能无需订阅实时数据。

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
    MyStrategy() {}
    ~MyStrategy(){}

    //重写on_init事件，进行策略开发
    void on_init()
    {
        cout << "on_init" << endl;

        //设置定时任务
        schedule("1d","13:24:00");
        return;
    }

    //定时任务触发事件
    void on_schedule(const char *data_rule, const char *time_rule)
    {
        //购买200股浦发银行股票
        Order o = order_volume("SHSE.600000", 200, 1, 2, 1, 0);
    }

    //回测完成事件
    void on_backtest_finished()
    {
        cout << "on_backtest_finished" << endl;
    }

    //回测完成后收到绩效报告
    void on_indicator(Indicator *indicator)
    {
        cout << "on_indicator" << endl
            << "账号ID:       "  << indicator->account_id        << endl     
            << "累计收益率:    "  << indicator->pnl_ratio         << endl              
            << "年化收益率:    "  << indicator->pnl_ratio_annual  << endl              
            << "夏普比率:      "  << indicator->sharp_ratio       << endl              
            << "最大回撤:      "  << indicator->max_drawdown      << endl              
            << "风险比率:      "  << indicator->risk_ratio        << endl              
            << "开仓次数:      "  << indicator->open_count        << endl              
            << "平仓次数:      "  << indicator->close_count       << endl              
            << "盈利次数:      "  << indicator->win_count         << endl              
            << "亏损次数:      "  << indicator->lose_count        << endl              
            << "胜率:         "  << indicator->win_ratio         << endl              
            << "指标创建时间:  "  << indicator->created_at        << endl                
            << "指标变更时间:  "  << indicator->updated_at        << endl;
    }

private:
};

int main(int argc, char *argv[])
{
    MyStrategy s;
    s.set_strategy_id("4727c864-84da-11e8-81b2-7085c223669d");
    s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
    s.set_mode(MODE_BACKTEST);
    s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
    s.run();

    return 0;
}

数据事件驱动

//////////////////////////////////////////////////////////////////////////
//数据事件驱动
//策略描述：
//典型如选股交易策略。比如，策略每日收盘前10分钟执行：选股->决策逻辑->交易->退出。可能无需订阅实时数据


#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
    MyStrategy() {}
    ~MyStrategy(){}

    //重写on_init事件，进行策略开发
    void on_init()
    {
        cout << "on_init" << endl;

        //订阅浦发银行, bar频率为一天
        subscribe("SHSE.600000", "1d");

        return;
    }

    void on_bar(Bar *bar)
    {
        cout << "代码:           "   <<   bar->symbol       << endl
            << "bar的开始时间:    "   <<   bar->bob          << endl
            << "bar的结束时间:    "   <<   bar->eob          << endl
            << "开盘价:          "   <<   bar->open         << endl
            << "收盘价:          "   <<   bar->close        << endl
            << "最高价:          "   <<   bar->high         << endl
            << "最低价:          "   <<   bar->low          << endl
            << "成交量:          "   <<   bar->volume       << endl
            << "成交金额:        "   <<   bar->amount       << endl
            << "前收盘价:        "   <<   bar->pre_close    << endl
            << "持仓量:          "   <<   bar->position     << endl
            << "bar频度:         "   <<   bar->frequency    << endl;
    }
private:
};

int main(int argc, char *argv[])
{
    MyStrategy s;
    s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a");
    s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
    s.set_mode(MODE_BACKTEST);
    s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
    s.run();
    return 0;
}

默认交易账号

//////////////////////////////////////////////////////////////////////////
//默认账号交易
//策略描述：
//默认账号进行交易，下单时不指定account

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
    MyStrategy() {}
    ~MyStrategy(){}

    //重写on_init事件，进行策略开发
    void on_init()
    {
        cout << "on_init" << endl;
        subscribe("SHSE.600000,SZSE.000001", "1d");

        return;
    }

    void on_bar(Bar *bar)
    {
        //不指定account 使用默认账户下单
        order_volume(bar->symbol, 200, 1, 2, 1, 0);
    }

    //回测完成事件
    void on_backtest_finished()
    {
        cout << "on_backtest_finished" << endl;
    }

    //回测完成后收到绩效报告
    void on_indicator(Indicator *indicator)
    {
        cout << "on_indicator" << endl
            << "账号ID:       " << indicator->account_id << endl
            << "累计收益率:   " << indicator->pnl_ratio << endl
            << "年化收益率:   " << indicator->pnl_ratio_annual << endl
            << "夏普比率:     " << indicator->sharp_ratio << endl
            << "最大回撤:     " << indicator->max_drawdown << endl
            << "风险比率:     " << indicator->risk_ratio << endl
            << "开仓次数:     " << indicator->open_count << endl
            << "平仓次数:     " << indicator->close_count << endl
            << "盈利次数:     " << indicator->win_count << endl
            << "亏损次数:     " << indicator->lose_count << endl
            << "胜率:         " << indicator->win_ratio << endl
            << "指标创建时间:  " << indicator->created_at << endl
            << "指标变更时间:  " << indicator->updated_at << endl;
    }

private:
};

int main(int argc, char *argv[])
{
    MyStrategy s;
    s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
    s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
    s.set_mode(MODE_BACKTEST);
    s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
    s.run();
    return 0;
}

显示指定交易账号

//////////////////////////////////////////////////////////////////////////
//显示指定交易账号
//策略描述：
//下单时指定交易账号，account参数传账号id或者账号标题

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
    MyStrategy() {}
    ~MyStrategy(){}

    //重写on_init事件，进行策略开发
    void on_init()
    {
        cout << "on_init" << endl;
        subscribe("SHSE.600000,SZSE.000001", "1d");

        return;
    }

    void on_bar(Bar *bar)
    {
        //不指定account 使用默认账户下单
        order_volume(bar->symbol, 200, 1, 2, 1, 0, "ba8785aa-8641-11e8-98cb-7085c223669d");
    }

    //回测完成事件
    void on_backtest_finished()
    {
        cout << "on_backtest_finished" << endl;
    }

    //回测完成后收到绩效报告
    void on_indicator(Indicator *indicator)
    {
        cout << "on_indicator" << endl
            << "账号ID:       " << indicator->account_id << endl
            << "累计收益率:   " << indicator->pnl_ratio << endl
            << "年化收益率:   " << indicator->pnl_ratio_annual << endl
            << "夏普比率:     " << indicator->sharp_ratio << endl
            << "最大回撤:     " << indicator->max_drawdown << endl
            << "风险比率:     " << indicator->risk_ratio << endl
            << "开仓次数:     " << indicator->open_count << endl
            << "平仓次数:     " << indicator->close_count << endl
            << "盈利次数:     " << indicator->win_count << endl
            << "亏损次数:     " << indicator->lose_count << endl
            << "胜率:         " << indicator->win_ratio << endl
            << "指标创建时间: " << indicator->created_at << endl
            << "指标变更时间: " << indicator->updated_at << endl;
    }

private:
};

int main(int argc, char *argv[])
{
    MyStrategy s;
    s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
    s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
    s.set_mode(MODE_BACKTEST);
    s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
    s.run();
    return 0;
}

模式选择

//////////////////////////////////////////////////////////////////////////
//模式选择
//策略描述：
//策略支持两种运行模式，实时模式和回测模式，用户需要在运行策略时选择模式，执行run函数时mode=1 表示回测模式，mode=0表示实时模式

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
    MyStrategy() {}
    ~MyStrategy(){}

    //重写on_init事件，进行策略开发
    void on_init()
    {
        cout << "on_init" << endl;
        subscribe("SHSE.600000", "tick");

        return;
    }

    void on_tick(Tick *tick)
    {
        cout << "代码:                       " << tick->symbol << endl
            << "utc时间，精确到毫秒:           " << tick->created_at << endl
            << "最新价:                      " << tick->price << endl
            << "开盘价:                      " << tick->open << endl
            << "最高价:                      " << tick->high << endl
            << "最低价:                      " << tick->low << endl
            << "成交总量                      " << tick->cum_volume << endl
            << "成交总金额/最新成交额,累计值:   " << tick->cum_amount << endl
            << "合约持仓量(期),累计值:         " << tick->cum_position << endl
            << "瞬时成交额:                   " << tick->last_amount << endl
            << "瞬时成交量:                   " << tick->last_volume << endl
            << "交易类型,对应多开,多平等类型:   " << tick->trade_type << endl;
    }

private:
};

int main(int argc, char *argv[])
{
    MyStrategy s;
    s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
    s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
    // mode = MODE_LIVE 实时模式
    // mode = MODE_BACKTEST  回测模式, 指定回测开始时间backtest_start_time和结束时间backtest_end_time
    //s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);

    s.set_mode(MODE_LIVE);

    s.run();
    return 0;
}

数据研究

//////////////////////////////////////////////////////////////////////////
//数据研究
//策略描述：
//无需实时数据驱动策略，无需交易下单，只是取数据的场景

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
    MyStrategy() {}
    ~MyStrategy(){}

    //重写on_init事件，进行策略开发
    void on_init()
    {
        cout << "on_init" << endl;

        DataArray<Tick>* ht = history_ticks("SZSE.000002", "2017-07-11 10:20:00", "2017-07-11 10:30:00");
        if (ht->status() == 0)
        {
            for (int i = 0; i < ht->count(); i++)
            {
                cout << "代码:                              " << ht->at(i).symbol << endl
                    << "utc时间，精确到毫秒:                  " << ht->at(i).created_at << endl
                    << "最新价:                              " << ht->at(i).price << endl
                    << "开盘价:                              " << ht->at(i).open << endl
                    << "最高价:                              " << ht->at(i).high << endl
                    << "最低价:                              " << ht->at(i).low << endl
                    << "成交总量:                            " << ht->at(i).cum_volume << endl
                    << "成交总金额 / 最新成交额, 累计值:        " << ht->at(i).cum_amount << endl
                    << "合约持仓量(期), 累计值:                " << ht->at(i).cum_position << endl
                    << "瞬时成交额:                           " << ht->at(i).last_amount << endl
                    << "瞬时成交量:                           " << ht->at(i).last_volume << endl
                    << "保留)交易类型, 对应多开, 多平等类型:    " << ht->at(i).trade_type << endl
                    << "报价:                                " << ht->at(i).quotes << endl;
            }
        }

        return;
    }

private:
};

int main(int argc, char *argv[])
{
    MyStrategy s;
    s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
    s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
    s.set_mode(MODE_BACKTEST);
    s.set_backtest_config("2017-07-11 10:20:00", "2017-07-11 10:30:00",1000000, 1, 0, 0, 0, 1);

    s.run();
    return 0;
}